Linear-Quadratic Stochastic Differential Games with General Noise Processes
نویسندگان
چکیده
In this paper a noncooperative, two person, zero sum, stochastic differential game is formulated and solved that is described by a linear stochastic system and a quadratic cost functional for the two players. The optimal strategies for the two players are given explicitly using a relatively simple direct method. The noise process for the two player linear system can be an arbitrary square integrable stochastic process with continuous sample paths. The special case of a fractional Brownian motion noise is explicitly noted.
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